Generalized Systematic Risk
将系统性风险概念推广到涵盖高阶矩、下行风险、罕见灾难等多维风险测度，通过均衡模型和公理化方法扩展传统贝塔，为实证研究提供基础。
We generalize the concept of “systematic risk” to a broad class of risk measures potentially accounting for high distribution moments, downside risk, rare disasters, as well as other risk attributes. We offer two different approaches. First is an equilibrium framework generalizing the Capital Asset Pricing Model, two-fund separation, and the security market line. Second is an axiomatic approach resulting in a systematic risk measure as the unique solution to a risk allocation problem. Both approaches lead to similar results extending the traditional beta to capture multiple dimensions of risk. The results lend themselves naturally to empirical investigation.